An Introduction to Wishart Matrix Moments
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Abstract: These lecture notes provide a comprehensive, self-contained introduction to the analysis of Wishart matrix moments. This study may act as an introduction to some particular aspects of random matrix theory, or as a self-contained exposition of Wishart matrix moments. Random matrix theory plays a central role in statistical physics, computational mathematics and engineering sciences, including data assimilation, signal processing, combinatorial optimization, compressed sensing, econometrics and mathematical finance, among numerous others. The mathematical foundations of the theory of random matrices lies at the intersection of combinatorics, non-commutative algebra, geometry, multivariate functional and spectral analysis, and of course statistics and probability theory. As a result, most of the classical topics in random matrix theory are technical, and mathematically difficult to penetrate for non-experts and regular users and practitioners. The technical aim of these notes is to review and extend some important results in random matrix theory in the specific context of real random Wishart matrices. This special class of Gaussian-type sample covariance matrix plays an important role in multivariate analysis and in statistical theory. We derive non-asymptotic formulae for the full matrix moments of real valued Wishart random matrices. As a corollary, we derive and extend a number of spectral and trace-type results for the case of non-isotropic Wishart random matrices. We also derive the full matrix moment analogues of some classic spectral and trace-type moment results. For example, we derive semi-circle and Marchencko-Pastur-type laws in the non-isotropic and full matrix cases. Laplace matrix transforms and matrix moment estimates are also studied, along with new spectral and trace concentration-type inequalities.
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Cited in
(18)- On one-dimensional Riccati diffusions
- Integral transform methods in goodness-of-fit testing. II: The Wishart distributions
- Limiting behavior of large correlated Wishart matrices with chaotic entries
- On the non-asymptotic concentration of heteroskedastic Wishart-type matrix
- A perturbation analysis of stochastic matrix Riccati diffusions
- MSE bounds for estimators of matrix functions
- Harmonic means of Wishart random matrices
- Compound Real Wishart and q-Wishart Matrices
- Wishart and anti-Wishart random matrices
- Non-Hermitean Wishart random matrices (I)
- On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
- High-dimensional regimes of non-stationary Gaussian correlated Wishart matrices
- High-dimensional regime for Wishart matrices based on the increments of the solution to the stochastic heat equation
- Limit behavior in high-dimensional regime for the Wishart tensors in Wiener chaos
- Limit behavior in high-dimensional regime for Wishart tensors with Rosenblatt entries
- Noncentral limit theorem for large Wishart matrices with Hermite entries
- A scalarization technique for computing the power and exponential moments of Gaussian random matrices
- Moments of minors of Wishart matrices
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